Portfolio value-at-risk estimation in energy futures markets with time-varying copula-GARCH model (Q475247): Difference between revisions

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Latest revision as of 08:12, 9 July 2024

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Portfolio value-at-risk estimation in energy futures markets with time-varying copula-GARCH model
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    Portfolio value-at-risk estimation in energy futures markets with time-varying copula-GARCH model (English)
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    26 November 2014
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    risk management
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    copulas
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    value-at-risk
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    time-varying models
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    backtesting
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